Study: Sell MOTHERSUMI when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell MOTHERSUMI when RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell MOTHERSUMI at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
125119.3285444151.764455.0614643.04-4168.38-14440.021.071.150.012295.52
249600.7585493657.656363.0227358-7282.98-31608.870.871.190.013583.54
380153.6285503558.828447.8632985.93-9778.27-50142.130.861.230.015942.98
4-22193.4785444151.769911.1831162.06-11177.7-65301.720.890.95-0.0037-261.1
5-10511885394645.8812088.6938978.63-12534.29-86637.930.960.82-0.015-1236.68
6-14371385394645.8811999.9943668.58-13298.09-97413.790.90.77-0.02-1690.74
7-21368685355041.1813666.0754090.67-13839.98-97844.830.990.69-0.027-2513.96
8-19434185384744.7113235.1365763.42-14835.67-78017.240.890.72-0.024-2286.37
9-23357684364842.8614572.7876498.18-15795.75-1151080.920.69-0.026-2780.66
10-20033484374744.0515511.1585356.96-16473.34-1078030.940.74-0.022-2384.93
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail23.27-2954821955813729.7411445.6828205.82-7002.42-17816.141.630.69-0.033-1515.29
atrnil24.47-3699961784613225.8417383.4328205.82-8860.86-17816.141.960.68-0.038-2078.63
atrtrail33.6-3078141945613828.8711781.4242308.73-7011.4-17816.141.680.68-0.032-1586.67
atrtrail-14.07-4047521925214027.0810858.7478245.88-6924.33-17816.141.570.58-0.041-2108.08
atrnil35.91-5669661752914616.5725222.4142308.73-8893.26-17816.142.840.56-0.053-3239.81

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:0.692

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Nov 2019 (-4.29%), 06 Nov 2019 (-2.41%)
2017928 Apr 2017 (-2.2%), 03 May 2017 (0.43%), 22 May 2017 (0.2%), 26 May 2017 (-2.71%), 06 Jun 2017 (-2.42%), 12 Jun 2017 (-0.97%), 19 Jun 2017 (4.42%), 07 Aug 2017 (4.54%), 01 Nov 2017 (-0.42%)
2016428 Jul 2016 (-2.99%), 01 Aug 2016 (-2.91%), 02 Aug 2016 (1.59%), 05 Aug 2016 (6.74%)
2015105 Aug 2015 (6.5%)
20141112 Feb 2014 (0.91%), 03 Mar 2014 (0.04%), 28 Mar 2014 (-3.74%), 02 Apr 2014 (-0.06%), 03 Jun 2014 (0.66%), 01 Jul 2014 (-3.42%), 03 Jul 2014 (-3.38%), 04 Jul 2014 (0.87%), 17 Jul 2014 (7.86%), 02 Sep 2014 (-0.84%), 11 Sep 2014 (7.19%)
2013714 Aug 2013 (7.99%), 08 Oct 2013 (-3.8%), 09 Oct 2013 (-3.71%), 14 Oct 2013 (-0.26%), 21 Oct 2013 (-2.65%), 24 Oct 2013 (-1.31%), 06 Nov 2013 (7.34%)
20121910 Feb 2012 (-4.29%), 14 Feb 2012 (-2.37%), 21 Feb 2012 (-0.9%), 01 Mar 2012 (10.04%), 21 Aug 2012 (-2.92%), 24 Aug 2012 (-3.36%), 27 Aug 2012 (0.03%), 06 Sep 2012 (-1.34%), 17 Sep 2012 (-3.32%), 18 Sep 2012 (-1.85%), 28 Sep 2012 (-3.37%), 01 Oct 2012 (-3.37%), 03 Oct 2012 (-4.48%), 05 Oct 2012 (8.64%), 29 Nov 2012 (-1.4%), 05 Dec 2012 (-3.68%), 07 Dec 2012 (-3.23%), 13 Dec 2012 (-4.16%), 14 Dec 2012 (0.41%)
2011227 Apr 2011 (7.98%), 01 Jun 2011 (-0.6%)
2010905 Jan 2010 (-2.66%), 15 Jan 2010 (9.43%), 12 Apr 2010 (3.77%), 06 Jul 2010 (0.56%), 21 Jul 2010 (-3.68%), 28 Jul 2010 (-3.46%), 05 Aug 2010 (-3.32%), 09 Aug 2010 (6.61%), 16 Aug 2010 (-1.51%)
2009713 Apr 2009 (-8.91%), 18 Sep 2009 (-6.33%), 23 Sep 2009 (-6.36%), 25 Sep 2009 (5.18%), 13 Nov 2009 (-5.44%), 16 Nov 2009 (-0.66%), 24 Nov 2009 (10.96%)
2008226 Aug 2008 (-4.93%), 27 Aug 2008 (-5.24%)
20071122 May 2007 (-4.78%), 23 May 2007 (-0.95%), 12 Jul 2007 (-3.32%), 20 Jul 2007 (7.31%), 31 Aug 2007 (-2.77%), 06 Sep 2007 (-4.7%), 07 Sep 2007 (0.93%), 18 Sep 2007 (-5.11%), 26 Sep 2007 (8.16%), 14 Dec 2007 (12.13%), 27 Dec 2007 (12.86%)
2006809 Mar 2006 (-4.21%), 13 Mar 2006 (-4.01%), 14 Mar 2006 (-4.56%), 20 Mar 2006 (-3.06%), 28 Mar 2006 (-3.75%), 03 Apr 2006 (-4.68%), 04 Apr 2006 (-1.33%), 25 Sep 2006 (-1.95%)
20051403 Jan 2005 (9.77%), 24 Jun 2005 (-3.88%), 05 Jul 2005 (-3.54%), 11 Jul 2005 (-0.23%), 19 Jul 2005 (-3.61%), 20 Jul 2005 (-2.41%), 25 Jul 2005 (-0.71%), 12 Aug 2005 (5.93%), 18 Aug 2005 (7.03%), 19 Aug 2005 (0.03%), 02 Sep 2005 (-4.29%), 05 Sep 2005 (-1.03%), 08 Sep 2005 (-3.44%), 16 Sep 2005 (8.98%)
20041303 Aug 2004 (-5.5%), 05 Aug 2004 (0.2%), 09 Aug 2004 (0.13%), 24 Aug 2004 (-4.25%), 01 Sep 2004 (-4.96%), 02 Sep 2004 (-5.14%), 06 Sep 2004 (0.51%), 28 Oct 2004 (-1.72%), 03 Nov 2004 (-1.2%), 12 Nov 2004 (-2.39%), 22 Nov 2004 (-5.07%), 29 Nov 2004 (9.51%), 31 Dec 2004 (-4.49%)
20033517 Jan 2003 (-3.61%), 20 Jan 2003 (-4.25%), 21 Jan 2003 (-4.22%), 22 Jan 2003 (-3.55%), 24 Jan 2003 (8.6%), 15 Apr 2003 (-0.49%), 23 Apr 2003 (-3.47%), 28 Apr 2003 (-4.27%), 29 Apr 2003 (1.7%), 05 May 2003 (-4.46%), 06 May 2003 (-4.53%), 07 May 2003 (-4.36%), 08 May 2003 (-4.2%), 09 May 2003 (-4.05%), 12 May 2003 (-4.33%), 13 May 2003 (-5.06%), 14 May 2003 (-5.32%), 15 May 2003 (-5.98%), 16 May 2003 (-1.69%), 20 May 2003 (14.1%), 26 May 2003 (-8.02%), 09 Jun 2003 (-2.47%), 26 Jun 2003 (1.24%), 08 Jul 2003 (0.97%), 08 Aug 2003 (1.54%), 18 Nov 2003 (-5.28%), 19 Nov 2003 (-5.05%), 20 Nov 2003 (-3.65%), 24 Nov 2003 (-5.46%), 25 Nov 2003 (-0.87%), 01 Dec 2003 (-4.44%), 03 Dec 2003 (-1.28%), 10 Dec 2003 (-1.79%), 26 Dec 2003 (-5.03%), 29 Dec 2003 (10.19%)
2002217 Jun 2002 (4.36%), 08 Jul 2002 (-4.25%)
20001221 Jan 2000 (10.2%), 09 Feb 2000 (-4.75%), 10 Feb 2000 (-4.67%), 11 Feb 2000 (-4.66%), 14 Feb 2000 (2.53%), 25 Feb 2000 (10.09%), 19 Jul 2000 (7.53%), 22 Aug 2000 (-4.87%), 23 Aug 2000 (-4.75%), 24 Aug 2000 (-4.62%), 25 Aug 2000 (-4.5%), 28 Aug 2000 (9.29%)
19992312 Feb 1999 (-0.45%), 01 Mar 1999 (-4.69%), 03 Mar 1999 (-4.68%), 04 Mar 1999 (-4.56%), 05 Mar 1999 (-4.45%), 08 Mar 1999 (-4.35%), 09 Mar 1999 (-4.27%), 10 Mar 1999 (-4.38%), 11 Mar 1999 (9.24%), 24 Mar 1999 (-3.26%), 26 Mar 1999 (10.93%), 22 Jul 1999 (-4.15%), 23 Jul 1999 (-4.04%), 26 Jul 1999 (-4.0%), 27 Jul 1999 (8.16%), 29 Jul 1999 (-2.1%), 03 Aug 1999 (-4.91%), 05 Aug 1999 (-0.55%), 11 Aug 1999 (-4.67%), 12 Aug 1999 (-4.55%), 13 Aug 1999 (-4.58%), 18 Aug 1999 (9.59%), 23 Dec 1999 (-3.97%)
1998218 Nov 1998 (-3.62%), 19 Nov 1998 (7.31%)
1997201 Aug 1997 (-1.92%), 07 Aug 1997 (-4.57%)



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